alpha101.py 文件源码

def compute(self, today, assets, out, close, open):
        v0 = np.full(out.shape[0], -1.0)
        v10000 = np.empty((5, out.shape[0]))
        for i0 in range(1, 6):
            v1000000 = close[-i0]
            v1000001 = open[-i0]
            v100000 = v1000000 - v1000001
            v10000[-i0] = np.abs(v100000)
        v1000 = np.std(v10000, axis=0)
        v10010 = close[-1]
        v10011 = open[-1]
        v1001 = v10010 - v10011
        v100 = v1000 + v1001
        v1010 = np.empty((10, out.shape[0]))
        for i0 in range(1, 11):
            v1010[-i0] = close[-i0]
        v1011 = np.empty((10, out.shape[0]))
        for i0 in range(1, 11):
            v1011[-i0] = open[-i0]
        v101 = pd.DataFrame(v1010).rolling(window=10).corr(pd.DataFrame(v1011)).tail(1).as_matrix()[-1]
        v10 = v100 + v101
        v1 = stats.rankdata(v10)
        out[:] = v0 * v1

# ((-1 * sign(((close - delay(close, 7)) + delta(close, 7)))) * (1 + rank((1 + sum(returns, 250)))))